rqalpha 5.6.0__tar.gz → 5.6.2__tar.gz

{rqalpha-5.6.0/rqalpha.egg-info → rqalpha-5.6.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rqalpha
-Version: 5.6.0
+Version: 5.6.2
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant
@@ -19,7 +19,8 @@ Classifier: Programming Language :: Python :: 3.13
 Requires-Python: >=3.6
 License-File: LICENSE
 Requires-Dist: requests
-Requires-Dist: numpy<2.0.0
+Requires-Dist: numpy<2.0.0; python_version <= "3.11"
+Requires-Dist: numpy>=2.0.0; python_version >= "3.12"
 Requires-Dist: pandas>=1.0.5
 Requires-Dist: python-dateutil
 Requires-Dist: six

{rqalpha-5.6.0 → rqalpha-5.6.2}/rqalpha/_version.py

@@ -8,11 +8,11 @@ import json
 
 version_json = '''
 {
- "date": "2025-07-28T09:56:58+0800",
+ "date": "2025-08-12T16:39:32+0800",
  "dirty": false,
  "error": null,
- "full-revisionid": "faed23cd019cf672076d46299596583de74e23cb",
- "version": "5.6.0"
+ "full-revisionid": "df666766edc9f646d9064cedd7c841d58fa67a46",
+ "version": "5.6.2"
 }
 '''  # END VERSION_JSON
 

{rqalpha-5.6.0 → rqalpha-5.6.2}/rqalpha/data/base_data_source/data_source.py

@@ -83,7 +83,8 @@ class BaseDataSource(AbstractDataSource):
             INSTRUMENT_TYPE.INDX: DayBarStore(_p('indexes.h5')),
             INSTRUMENT_TYPE.FUTURE: FutureDayBarStore(_p('futures.h5')),
             INSTRUMENT_TYPE.ETF: funds_day_bar_store,
-            INSTRUMENT_TYPE.LOF: funds_day_bar_store
+            INSTRUMENT_TYPE.LOF: funds_day_bar_store,
+            INSTRUMENT_TYPE.REITs: funds_day_bar_store
         }  # type: Dict[INSTRUMENT_TYPE, AbstractDayBarStore]
         
         self._future_info_store = FutureInfoStore(_p("future_info.json"), custom_future_info)

{rqalpha-5.6.0 → rqalpha-5.6.2}/rqalpha/mod/rqalpha_mod_sys_analyser/mod.py

@@ -16,6 +16,7 @@
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 
 import os
+import re
 import pandas
 import pickle
 import jsonpickle
@@ -51,6 +52,9 @@ def _get_yearly_risk_free_rates(
         start_date = datetime.date(year + 1, 1, 1)
 
 
+EQUITIES_OID_RE = re.compile(r"^\d{6}\.(XSHE|XSHG|BJSE)$")
+
+
 class AnalyserMod(AbstractMod):
     def __init__(self):
         self._env = None
@@ -434,7 +438,7 @@ class AnalyserMod(AbstractMod):
         }
 
         if not trades.empty and all(
-                trades.order_book_id.str.endswith(".XSHE") | trades.order_book_id.str.endswith(".XSHG")
+            EQUITIES_OID_RE.match(trade.order_book_id) for trade in trades.itertuples()  # type: ignore
         ):
             # 策略仅交易股票、指数、场内基金等品种时才计算换手率
             trades_values = trades.last_price * trades.last_quantity

{rqalpha-5.6.0 → rqalpha-5.6.2}/rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py

@@ -16,7 +16,7 @@
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 import datetime
 from collections import defaultdict
-from copy import copy
+import math
 from rqalpha.const import MATCHING_TYPE, ORDER_TYPE, POSITION_EFFECT, SIDE
 from rqalpha.environment import Environment
 from rqalpha.core.events import EVENT, Event
@@ -25,11 +25,26 @@ from rqalpha.model.trade import Trade
 from rqalpha.model.tick import TickObject
 from rqalpha.portfolio.account import Account
 from rqalpha.utils import is_valid_price
+from rqalpha.interface import AbstractPriceBoard
 from typing import Dict
 from rqalpha.utils.i18n import gettext as _
 from .slippage import SlippageDecider
 
 
+LIMIT_PRICE_VALID_THRESHOLD = 1e-7
+
+
+def _price_reaches_limit(order_book_id: str, side: SIDE, deal_price: float, price_board: AbstractPriceBoard):
+    if side == SIDE.BUY:
+        limit_price = price_board.get_limit_up(order_book_id)
+        return deal_price >= limit_price or math.isclose(deal_price, limit_price, abs_tol=LIMIT_PRICE_VALID_THRESHOLD)
+    elif side == SIDE.SELL:
+        limit_price = price_board.get_limit_down(order_book_id)
+        return deal_price <= limit_price or math.isclose(deal_price, limit_price, abs_tol=LIMIT_PRICE_VALID_THRESHOLD)
+    else:
+        raise ValueError(f"Unsupport side: {side}")
+
+
 class AbstractMatcher:
     def match(self, account, order, open_auction):
         # type: (Account, Order, bool) -> None
@@ -127,8 +142,6 @@ class DefaultBarMatcher(AbstractMatcher):
             else:
                 # 撮合的时候无行情数据也不需要撤单，等到有行情再撮合
                 reason = None
-                # reason = _(u"Order Cancelled: current bar [{order_book_id}] miss market data.").format(
-                #     order_book_id=order.order_book_id)
             if reason:
                 order.mark_rejected(reason)
             return
@@ -141,22 +154,14 @@ class DefaultBarMatcher(AbstractMatcher):
                 return
             # 是否限制涨跌停不成交
             if self._price_limit:
-                if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
-                    return
-                if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
+                if _price_reaches_limit(order_book_id, order.side, deal_price, price_board):
                     return
         else:
             if self._price_limit:
-                if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
-                    reason = _(
-                        "Order Cancelled: current bar [{order_book_id}] reach the limit_up price."
-                    ).format(order_book_id=order.order_book_id)
-                    order.mark_rejected(reason)
-                    return
-                if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
+                if _price_reaches_limit(order_book_id, order.side, deal_price, price_board):
                     reason = _(
-                        "Order Cancelled: current bar [{order_book_id}] reach the limit_down price."
-                    ).format(order_book_id=order.order_book_id)
+                        "Order Cancelled: current bar [{order_book_id}] reach the {limit_up_or_down} price."
+                    ).format(order_book_id=order.order_book_id, limit_up_or_down="limit_up" if order.side == SIDE.BUY else "limit_down")
                     order.mark_rejected(reason)
                     return
 
@@ -372,9 +377,7 @@ class DefaultTickMatcher(AbstractMatcher):
                 return
             # 是否限制涨跌停不成交
             if self._price_limit:
-                if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
-                    return
-                if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
+                if _price_reaches_limit(order_book_id, order.side, deal_price, price_board):
                     return
             if self._liquidity_limit:
                 if order.side == SIDE.BUY and price_board.get_a1(order_book_id) == 0:
@@ -383,16 +386,10 @@ class DefaultTickMatcher(AbstractMatcher):
                     return
         else:
             if self._price_limit:
-                if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
-                    reason = _(
-                        "Order Cancelled: current tick [{order_book_id}] reach the limit_up price."
-                    ).format(order_book_id=order.order_book_id)
-                    order.mark_rejected(reason)
-                    return
-                if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
+                if _price_reaches_limit(order_book_id, order.side, deal_price, price_board):
                     reason = _(
-                        "Order Cancelled: current tick [{order_book_id}] reach the limit_down price."
-                    ).format(order_book_id=order.order_book_id)
+                        "Order Cancelled: current tick [{order_book_id}] reach the {limit_up_or_down} price."
+                    ).format(order_book_id=order.order_book_id, limit_up_or_down="limit_up" if order.side == SIDE.BUY else "limit_down")
                     order.mark_rejected(reason)
                     return
             if self._liquidity_limit:

{rqalpha-5.6.0 → rqalpha-5.6.2/rqalpha.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rqalpha
-Version: 5.6.0
+Version: 5.6.2
 Summary: Ricequant Algorithm Trading System
 Home-page: https://github.com/ricequant/rqalpha
 Author: ricequant
@@ -19,7 +19,8 @@ Classifier: Programming Language :: Python :: 3.13
 Requires-Python: >=3.6
 License-File: LICENSE
 Requires-Dist: requests
-Requires-Dist: numpy<2.0.0
+Requires-Dist: numpy<2.0.0; python_version <= "3.11"
+Requires-Dist: numpy>=2.0.0; python_version >= "3.12"
 Requires-Dist: pandas>=1.0.5
 Requires-Dist: python-dateutil
 Requires-Dist: six

{rqalpha-5.6.0 → rqalpha-5.6.2}/rqalpha.egg-info/requires.txt

@@ -1,5 +1,4 @@
 requests
-numpy<2.0.0
 pandas>=1.0.5
 python-dateutil
 six
@@ -16,5 +15,11 @@ openpyxl
 methodtools
 filelock
 
+[:python_version <= "3.11"]
+numpy<2.0.0
+
+[:python_version >= "3.12"]
+numpy>=2.0.0
+
 [profiler]
 line_profiler

{rqalpha-5.6.0 → rqalpha-5.6.2}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = rqalpha
-version = 5.6.0
+version = 5.6.2
 
 [versioneer]
 VCS = git

{rqalpha-5.6.0 → rqalpha-5.6.2}/setup.py

@@ -17,7 +17,8 @@ import versioneer
 
 requirements = [
     'requests',
-    'numpy < 2.0.0',
+    'numpy < 2.0.0 ; python_version <= "3.11"',
+    'numpy >=2.0.0 ; python_version >= "3.12"',
     'pandas >=1.0.5',
     'python-dateutil',
     'six',

{rqalpha-5.6.0 → rqalpha-5.6.2}/tests/api_tests/test_position_queue.py

@@ -272,7 +272,7 @@ def test_future_position_queue_close_today():
             "start_date": "2016-03-07",
             "end_date": "2016-03-08",
             "accounts": {
-                "future": 1000000
+                "future": 10000000
             }
         }
     }